ISEG > Estrutura > Unidades Académicas > Matemática > Unidades Curriculares > Financial Forecasting

Financial Forecasting (FF)

Área

AC Matemática > UC Mestrados

Activa nos planos curriculares

Finance > Finance > 2º Ciclo > Unidades Curriculares Obrigatórias > Financial Forecasting

Nível

2º Ciclo (M)

Tipo

Estruturante

Regime

Semestral

Carga Horária

Aula Teórica (T): 0.0 h/semana

Aula TeoricoPrática (TP): 3.0 h/semana

Trabalho Autónomo: 121.0 h/semestre

Créditos ECTS: 6.0

Objectivos

To provide students with the core concepts and techniques for time series and financial time series analysis. Course focus empirical and probabilistic approaches and respective methods. Emphasis is given to special features of financial time series analysis and forecasting.

Programa

Introduction to time series: trends, cycles, seasonality
Forecasting: error and horizon, stationarity, transformations
Autocorrelation and partial autocorrelation. Univariate and multivariate data. Forecast horizon. Reference to loss functions
Exponential smoothing
WN and MA processes
AR processes
Seasonality and Seasonal ARMA models
Recap and examples
ARMA model selection
ARMA forecasting, brief reference to error criteria and measures
Deterministic and stochastic trends ? unit roots
Forecasting with ARIMA models
Volatility
ARCH and GARCH models

Metodologia de avaliação

The final mark is mainly based on a final exam (70%) and a practical group work on a real time series data (30%). The final exam covers both the basic formal knowledge related to concepts and theory and the practical statistical analysis of time series based on estimation results (software outputs).